Simulation-based confidence bounds for two-stage stochastic programs - Glynn, Peter W.; Infanger, Gerd (Mathematical programming, 2013)
Keywords: Algorithms; Approximation; Asymptotic properties; Calculus of Variations and Optimal Control; Optimization; Combinatorics; Confidence; Confidence intervals; Decomposition; Full Length Paper; Iterative methods; Linear programming; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Mathematics of Computing; Numerical Analysis; Random number sampling; Reduction; Sample size; Sampling; Stochasticity; Theoretical; 90C15 Stochastic programming; 97K50 Probability theory; 90C05 Linear programming; 62G15 Tolerance and confidence regions